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This research investigates the day-of-the-week (DOW) effect on stock returns within the KSE-100 Index, a leading indicator of the Pakistan Stock Exchange that comprises the country’s top 100 companies. Employing a comprehensive dataset that spans from November 1991 to June 2022, with a total of 7192 observations, the study utilizes a multi-faceted statistical approach incorporating OLS, ARCH, and GARCH models. The findings reveal a nuanced landscape: all weekdays, except Monday, have a statistically significant impact on stock returns. Moreover, the study uncovers the existence of volatility clustering, challenging the Efficient Market Hypothesis (EMH) in the context of the Pakistani market. These insights hold implications for both investors and policymakers, offering a deeper understanding of market anomalies and their influence on asset pricing and portfolio management.

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Sustainability Analysis of the Weekly Pattern in the KSE-100 Index of Pakistan Stock Exchange: Employing Arch/GARCH Models with Contemporary Data

  • 会议论文

  • 发表日期：

    2025年

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  • Zafarullah Khan,
  • Tosin Ekundayo,
  • Sabiha Nuzhat

摘要

This research investigates the day-of-the-week (DOW) effect on stock returns within the KSE-100 Index, a leading indicator of the Pakistan Stock Exchange that comprises the country’s top 100 companies. Employing a comprehensive dataset that spans from November 1991 to June 2022, with a total of 7192 observations, the study utilizes a multi-faceted statistical approach incorporating OLS, ARCH, and GARCH models. The findings reveal a nuanced landscape: all weekdays, except Monday, have a statistically significant impact on stock returns. Moreover, the study uncovers the existence of volatility clustering, challenging the Efficient Market Hypothesis (EMH) in the context of the Pakistani market. These insights hold implications for both investors and policymakers, offering a deeper understanding of market anomalies and their influence on asset pricing and portfolio management.